Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Hasan, Md. Bokhtiar; Hassan, M. Kabir; Rashid, Md. Mamunur; Ali, Md. Sumon; Hossain, Md. Naiem

doi:10.1108/mf-12-2020-0601

Cited by 14 publications

(9 citation statements)

References 73 publications

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“…Crisis has drastic effect on portfolio returns. Therefore, it is essential to understand the co-movements between crisis and volatility spillovers for optimal risk management (Hasan et al , 2021). This and some other studies, Hassan et al (2022) recommend that policymakers need to take corrective steps to increase awareness and financial literacy among investors to select securities that can minimize the effect of such crises on their portfolio return.…”

Section: Discussionmentioning

confidence: 99%

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Raza

Said²,

Elshahat³

2022

IMEFM

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Purpose This study aims to provide a comparative insight into the level of informational efficiency and irregularities of Shariah-compliant stocks and conventional stocks in three emerging markets, namely, China, Malaysia and Pakistan. The empirical evidence is provided for pre-crisis and crisis periods caused by the Covid-19 pandemic. Design/methodology/approach Informational efficiency is measured using the variance ratio (VR) Test developed by Kim (2006). The Approximate Entropy (ApEn) Metrics is used to investigate the level of irregularities in stock prices caused by the pandemic. Findings All the three emerging markets in the sample are not immune to the crisis caused by Covid-19 pandemic. The level of informational efficiency of both the Shariah-compliant and conventional stock is affected by the crisis. However, the former exhibits relatively high level of informational efficiency and stability in returns as compared to more volatility of conventional stocks. Practical implications This study provides market agents and policy makers with a robust assessment of the impact of the Covid-19 pandemic on informational efficiency of Shariah-compliant and conventional stocks. Relatively high informational efficiency of Shariah-compliant stocks indicates that they are more transparent and that investors can trust the Shariah-compliant stocks more. This higher level of transparency and trust leads to more steady returns and lower levels of risk even during turbulent time like Covid-19. Investors can gain superior returns by conducting fundamental analysis and investing in index funds. Originality/value To the best of the authors’ knowledge, this is the first study that highlights the difference in informational efficiency of conventional stocks and Shariah-compliant stocks in the crisis period caused by Covid-19. Unlike previous studies, this study uses firm level data which enables firm-wise assessment of informational efficiency.

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Section: Discussionmentioning

confidence: 99%

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Raza

Said²,

Elshahat³

2022

IMEFM

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“…Furthermore, over the examination period from January 2015 to December 2018, Shariff et al (2021) found a significant month effect in Bursa Malaysia in May, November, and December. Hasan et al (2021) examined the effects of seven calendar anomalies:(1) January;…”

Section: Literature Reviewmentioning

confidence: 99%

Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Rohuma

Brijlal

2023

IJEFI

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This research examines whether the return of the Shariah-compliant portfolio (SCP) relative to the non-Shariah-compliant portfolio (NSCP) is subject to any calendar month effect on Bursa Malaysia over 12 years. The non-Shariah-compliant stocks were selected rather than conventional stocks to ensure that all stocks were completely independent since the Shariah-compliant stocks are part of the conventional stocks. A new portfolio (SCP–NSCP) that represented the monthly difference return between the SCP and NSCP was constructed, and by employing the robust standard errors regression, the results indicated that, after applying the Capital Asset Pricing Model (CAPM) with dummy variables, only in June, the return of SCP significantly outperform the return of NSCP. However, the existence of this calendar month anomalies between the SCP and NSCP will raise questions about the efficiency of Bursa Malaysia.

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“…Under this assumption, the DH is supported. Recently, Hasan et al (2021) conducted a comparison between Islamic and conventional stock indices considering data from Dhaka Stock Exchange for the period 2011 to 2020. The study reveals that except for the Ramadan effect, both types of indices have similar patterns of calendar anomalies.…”

Section: Literature Reviewmentioning

confidence: 99%

Islamic equity indices: a focus group discussion

Hashmi

Ellahi

Ehsan

et al. 2022

JIABR

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Purpose The purpose of this study is to highlight key issues pertaining to making use of Islamic equity indices and proposing possible solutions to address the problems faced in advancement of the concept of Shariah investing (SI) with the aim to advance the discourse on the subject. Design/methodology/approach Online focus group discussion (FGD) was carried out in which ten Islamic finance researchers and analysts belonging to institutions considered as authority on the subject matter participated to share their viewpoints on Islamic equity indices. Content analysis on the collected data of FGD was carried out which has revealed six key themes. Findings Six broader themes were identified based on the analysis of FGD, which includes criteria for constructing Islamic equity indices, utilization of Islamic equity indices for comparison with conventional stock indices, stock market efficiency perspectives, reason for integration of different equity markets, investors’ awareness of SI and future directions of Islamic equity indices. Results of the study indicate that Islamic finance researchers and analysts opined that there is a need for revising the criteria for construction of Islamic equity indices. There are conflicting viewpoints regarding performance and efficiency of Islamic indices in comparison with conventional indices and main reasons for stock market integration are trade liberalization, globalization and other factors. Moreover, there is a need for making investors and other market players aware about the attractiveness of Islamic indices from investing point of view. Originality/value Based on this extensive literature review and as highlighted by Masih et al. (2018) in their recap of literature on Islamic equity indices indicating that there are bulk of empirical studies carried in the past in the domain, however, there is a dearth of theoretical and qualitative studies. Hence, this preliminary qualitative study not only makes theoretical contribution but also deploys FGD, which is rarely used in the similar context, and offers candid views of the participants on key issues pertaining to Islamic equity indices. This lends novelty to this study.

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Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Cited by 14 publications

References 73 publications

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Islamic equity indices: a focus group discussion

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